I want to buy Borderlands 2, but I want to play with my brother, but when I played in a friend's house, the game just saved his character, and didn't save mine. Is it possible to save player2's character? (Sorry if I wrote something wrong, i'm brazilian)
Yes, that is normally what happens. I play split screen and both characters get saved.
Each player chooses a storage device when starting a game. The character data will be loaded from and saved to that storage device.
If I started a game and picked the xbox360 hard drive, my character data on the flash drive wouldn't be loaded and the game would think I have no characters.